3 papers
math.PR2016
Nash estimates and upper bounds for non-homogeneous Kolmogorov equations
Alberto Lanconelli, Andrea Pascucci
We prove a Gaussian upper bound for the fundamental solutions of a class of ultra-parabolic equations in divergence form. The bound is independent on the smoothness of the coeffici…
q-fin.PR2016
Pricing Bermudan options under local Lévy models with default
Anastasia Borovykh, Cornelis W. Oosterlee, Andrea Pascucci
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Lévy-type martingale. This class of models allows for a local volatility, local…
math.AP2009
Obstacle problem for Arithmetic Asian options
Laura Monti, Andrea Pascucci
We prove existence, regularity and a Feynman-Kač representation formula of the strong solution to the free boundary problem arising in the financial problem of the pricing of the A…